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Econometrics 672

Microeconometrics

LECTURE NOTES

The schedule below is intended to be a guide only. We will almost surely deviate from this schedule. We will revise the dates and topics as needed.

August 23. MLE#1: Introduction, Expected log likelihood inequality.

August 25: MLE#2: Uniform convergence in probability. Consistency.

August 30: MLE#3 Consistency, continued. Zero expected score property. Information Identity.

September 1: MLE#4: Information Equality in Linear Regression Model. Asympotic normality.

September 6: MLE#5: Asymptotic normality, coninued. Example.

September 8: MLE#6: Efficiency. Empirical Strategies for MLE-based Inference.

Septermber 13: MLE#7: Wald, Score, LM tests.

September 15: MLE#8: Illustration of tests with Box-Cox regression model.

September 20: MLE#9: Invariance, Delta Method, MLE under misspecification.

September 22: BINARY CHOICE #1: The Linear Probability Model and other Alternatives.

September 27: BINARY CHOICE #2: Marginal effects. The Probit and Logit Models, other link functions.

September 29, October 4: THE EM ALGORITHM: Theory, Illustration in probit and mixture models.

October 4: THE TOBIT MODEL: Estimation, examples, marginal effects, generalizations.

October 6: NO CLASS due to meeting of Midwest Econometrics Group

October 11: NO CLASS (October Break)

FINAL EXAMINATION: THURSDAY, OCTOBER 13 IN-CLASS. BRING A CALCULATOR!

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